I did Jiayuguan-Zhangye a few years back.

For Jiayuguan I found the fortress pretty impressive, and also the big gorge right beside it. The Xuanbi Overhanging Great Wall a few km away is something that felt a bit too renovated for me, also avoid the Wei-Jin tombs, too small and uninteresting for an out-of-the way place.

For Zhangye, the Danxia landforms are an hour or two out of town. While there are buses it might be best to hire a car to take you back if you're going in the afternoon. When I went there I stayed at a little house right at the entrance to the Danxia but on the way back the next day buses were full and wouldn't stop to pick me up. Zhangye also has the Dafo temple, and going south from town for an hour or two, you come across Mati si temple, which is a temple complex built into the side of a cliff. The area feels a bit like Tibet so with the Jiayuguan-Zhangye-Matisi itinerary you get to see ancient China, "Tibet" and also natural wonders in one go.

jiejie from the China forum has a superb thread on this, it was great reference when I was planning my own trip.

http://www.flyertalk.com/forum/china...silk-road.html